摘要
为了更好理解我国创业板市场的波动特征,在以HP滤波法划分牛、熊市场周期的基础上,利用TARCH模型和EGARCH模型考察深圳创业板市场波动非对称性在不同市场周期中的表现。结果表明,在熊市周期中,深圳创业板市场波动表现为正向非对称性,同等程度负面消息引起的冲击比同等程度正面消息引起的冲击大,而在牛市周期正好相反。特定制度环境中,投资者在"信息—后悔心理—过度反应—羊群行为"这一反应链下的买卖行为是造成这一现象的可能原因。
In order to better understand the asymmetric reaction of the GEM market volatility to positive and negative newsin China, based on the HP filtering method, the TARCH model and EGARCH model were used to investigate the difference of the symmetric reaction of the Shenzhen GEM index. The results show that the symmetric reaction of the Shenzhen GEMindex volatility in the bear market is negative - go- ing, that is, the fluctuation caused by negative news is more sharply than that caused by the same degree of positive news, but in the bull market is just the opposite. In the specific institutional environment, action of investors in the chain of the ＂information - regret psychology - Over Reaction - Herd Behavior＂ may be the cause of this phenomenon.
出处
《兰州财经大学学报》
2017年第1期78-86,共9页
Journal of Lanzhou University of Finance and Economics
基金
中央高校基本科研业务费专项资金资助项目(14LZUJBWZY021)
关键词
创业板市场
牛、熊市场周期
波动非对称性
growth enterprise market, bull and bearmarketcycle, asymmetric volatility
作者简介
贾洪文（1971-），男，甘肃兰州人，副教授，研究方向：证券投资、资本运作；
李润平（1993-），男，甘肃临夏人，硕士研究生；
甄欣然（1997-），女，山东菏泽人，2014级经济学专业。
